Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies

DOI10.1016/J.ECONLET.2011.12.113zbMath1253.91192OpenAlexW1988469545MaRDI QIDQ1925618

Dong Wan Shin, Sangun Park

Publication date: 18 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.12.113

zbMATH Keywords

efficiencyrealized variancefactoring likelihood

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight

Cites Work

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• Maximum Likelihood Estimates for a Multivariate Normal Distribution when some Observations are Missing
• Realized Volatility: A Review
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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